BAC Options History — May 2007

In May 2007, BAC traded between $50.58 and $51.50. ATM implied volatility averaged 13.7%. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.7% (HV 20d: 11.0%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2007-05-29: Highest Volume — 523,079 contracts
  • 2007-05-24: Largest IV spike — 53.1% change
  • 2007-05-03: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.11$50.58$51.50$50.93$50.71
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV13.7%8.8%16.6%14.9%14.2%
Expected Move4.0%2.5%4.7%4.3%4.1%
HV 20d11.0%8.1%13.7%13.0%8.6%
HV 60d16.6%14.0%17.3%17.2%14.0%
Term Structure0.8%-1.2%2.3%0.6%0.5%
VWIV14.6%11.4%17.6%13.7%14.1%
Skew 25d2.6%-0.1%4.4%2.3%0.6%
Skew 10d4.8%-1.6%11.0%8.2%-1.4%
Call IV 25d12.3%10.3%14.0%13.0%13.0%
Put IV 25d14.9%12.1%17.0%15.4%13.6%
Bid-Ask Spread %6.603.2210.976.454.62
Gamma HHI0.240.200.310.200.30
Net GEX18.1M2.2M34.3M5.4M32.9M
Net DEX-1.15B-1.38B-803.9M-971.7M-1.17B
Net VEX-14.2M-15.1M-13.7M-13.8M-14.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.052.252.252.18
Total Volume55,465.04512,232523,07968,54036,029
Total OI1,387,723.8181,257,3261,508,7331,374,6141,318,484

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$50.93$50.0014.9%4.3%13.0%0.0%13.7%2.3%0.6%5.4M-971.7M-13.8M2.256.4521,11747,423748,612626,002
2007-05-02$51.01$50.0015.2%4.3%12.7%0.0%12.9%2.7%0.8%7.9M-984.1M-14.5M1.058.9712,84213,493759,548630,845
2007-05-03$51.23$50.0016.6%4.7%12.8%0.0%16.0%3.1%-1.2%10.5M-1.08B-13.9M1.295.8211,74115,091760,551633,964
2007-05-04$51.24$50.0015.4%4.4%12.8%0.0%13.6%2.6%-0.4%11.0M-1.09B-13.9M0.525.8014,2547,413762,509636,439
2007-05-07$51.42$50.0012.7%3.9%12.8%0.0%16.2%2.6%0.8%14.3M-1.13B-14.2M0.536.7314,9838,003768,627638,586
2007-05-08$51.40$50.0013.2%4.1%12.7%0.0%15.3%2.1%0.1%16.1M-1.16B-14.2M1.456.374,9897,243779,850643,817
2007-05-09$51.45$50.0013.6%3.8%12.0%0.0%13.9%2.4%0.8%19.4M-1.21B-13.7M0.837.1315,21712,667782,855639,046
2007-05-10$50.58$50.0015.4%4.4%13.5%0.0%15.1%3.4%0.5%2.2M-803.9M-14.5M1.077.3522,47324,036785,483647,960
2007-05-11$50.95$50.0014.9%4.3%13.7%0.0%14.5%4.3%0.7%10.3M-1.03B-14.1M0.476.099,6404,526799,829653,626
2007-05-14$50.78$50.0014.7%4.2%12.5%0.0%14.9%3.1%0.9%5.2M-989.4M-14.1M1.137.6410,06611,396806,229653,383
2007-05-15$50.94$50.0014.8%4.2%12.5%0.0%17.4%4.0%1.4%9.5M-1.00B-14.7M0.538.8328,33415,010809,271657,607
2007-05-16$51.12$50.0014.3%4.1%12.0%0.0%16.3%4.4%1.4%14.7M-1.17B-14.0M0.8710.9716,00413,907824,320659,830
2007-05-17$51.13$50.0014.5%4.2%10.2%0.0%17.6%2.8%0.1%11.4M-1.26B-13.7M0.266.1943,54211,102830,815659,311
2007-05-18$51.28$50.009.2%2.6%10.2%0.0%14.2%3.0%2.2%17.6M-1.36B-14.5M0.255.7553,11513,285848,534660,199
2007-05-21$51.23$50.0013.3%3.8%9.4%0.0%12.5%3.2%1.0%25.4M-1.30B-13.8M0.456.1219,4938,809700,279557,047
2007-05-22$51.50$50.008.8%2.5%9.5%0.0%11.7%2.5%2.3%29.5M-1.38B-14.0M0.298.9224,7687,146714,828562,098
2007-05-23$51.35$50.008.8%2.5%8.7%0.0%11.4%1.3%2.2%34.3M-1.37B-14.0M1.196.3513,13415,679730,727559,195
2007-05-24$51.05$50.0013.5%3.9%8.1%0.0%13.2%-0.1%1.0%30.6M-1.26B-14.3M0.677.5717,06711,498735,567571,628
2007-05-25$51.20$50.0012.9%3.7%8.2%0.0%12.8%2.2%1.2%29.5M-1.26B-15.1M1.404.257,64610,729743,130579,707
2007-05-29$51.19$50.0015.3%4.4%8.1%0.0%17.5%2.4%-0.3%29.3M-1.25B-15.0M0.054.03499,36123,718747,380584,224
2007-05-30$50.81$50.0015.7%4.5%8.6%0.0%15.5%2.1%-0.3%31.1M-1.12B-14.3M0.613.2226,16516,077720,522597,460
2007-05-31$50.71$50.0014.2%4.1%8.6%0.0%14.1%0.6%0.5%32.9M-1.17B-14.3M2.184.6211,33224,697731,512586,972